It does work . I like the music and the character art (it looks very familiar for some reason o_O).... Ha! It's by Dock ^_^... I knew I recognized his style . The background art is sadly too zoomed in which makes it very blurry and full of compression artifacts. This is probably the only disappointment.
I can't really judge the story/game since it's so short. The theme would be interesting for something more developed though (as long as you don't insist on the sudden scary stuff ^^).

The fact it's JPG doesn't mean it should be so compressed I think . Try to see if your program has (it should!) a compression level parameter when saving to JPG. If you compress too much, it'll end up ugly, even if you do get small files. PNG would solve the problem, sure, but it's not mandatory.

I'll join the others in saying the horror-ish fun park scenario works... but the game is so short, it has no time to impact. The problematic thing is that it just ends so abruptly... as if there was something missing... so it really gives the impression of a test project, rather than a finished game. But everything worked for me (all the effects and all), so the test was successful, I guess